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    題名: 緩長記憶效應下的選擇權評價
    作者: 彭貴田
    貢獻者: 郭維裕
    彭貴田
    關鍵詞: 緩長記憶
    碎形布朗運動
    Hurst 指數
    R/S分析
    碎形Black-Scholes選擇權評價
    日期: 2005
    上傳時間: 2009-09-17 18:55:11 (UTC+8)
    摘要: 傳統效率市場假設股價的波動是隨機的，亦即股價是無法預測。 近來的文獻指出股價的波動是不完全是隨機的，且股價的波動具有緩長記憶(long memory)的特性。在本文中我們以R/S分析發現臺灣股市的Hurst指數為0.68，即具有趨勢持續性(trend persistent)之效果，根據此依特性，我們根據Necula(2002)的研究，來評價台股選擇權，發現此新評價模式產生之價格較接近市場價格。
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    描述: 碩士
    國立政治大學
    國際經營管理碩士班(IMBA)
    91932111
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0919321111
    資料類型: thesis
    顯示於類別:[國際經營管理英語碩士學程IMBA] 學位論文

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